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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June S & P 500(CME) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   32 35 35 35 35 35 35 35 35 35 36
Closed Higher   15 22 16 22 25 26 22 23 24 24 24
Exceeded High   14 15 15 18 24 25 20 20 20 22 17
Scenario Percentage   93% 68% 94% 82% 96% 96% 91% 87% 83% 92% 71%
Avg Max Increase   3.91% 5.38% 5.91% 6.86% 5.24% 5.59% 5.92% 4.87% 6.15% 4.38% 2.25%
Max Increase   9.67% 19.35% 16.77% 13.74% 13.76% 12.67% 13.16% 10.75% 16.88% 11.80% 5.69%
Avg Days To Max Increase   19 15 18 21 19 17 17 16 19 10 7
Avg Max Decline   -1.75% -1.89% -2.21% -1.12% -1.71% -1.67% -1.13% -1.09% -1.70% -1.37% -0.32%
Max Decline   -5.57% -9.01% -9.21% -5.77% -5.55% -6.34% -5.18% -6.03% -5.91% -4.79% -1.32%
Avg Days to Max Decline   9 10 7 9 14 7 6 5 9 5 1
2017 Contract Condition   Yes Yes     Yes Yes Yes Yes Yes Yes Yes
Action   Yes No     Yes Yes Yes Yes Yes Yes Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   32 35 35 35 35 35 35 35 35 35 36
Closed Lower   17 13 19 12 10 9 13 12 11 11 11
Penetrated Low   13 9 12 6 6 5 12 7 7 5 6
Scenario Percentage   76% 69% 63% 50% 60% 56% 92% 58% 64% 45% 55%
Avg Max Decline   8.04% 7.89% 11.41% 8.23% 5.13% 10.41% 5.80% 7.36% 3.31% 4.98% 4.44%
Max Decline   21.10% 15.32% 42.85% 23.85% 15.58% 14.67% 19.01% 13.27% 4.41% 9.42% 8.38%
Avg Days To Max Decline   16 15 16 15 11 18 15 15 10 9 9
Avg Max Increase   -1.97% -3.39% -2.32% -1.85% -1.92% -2.34% -1.94% -1.14% -1.63% -1.75% -0.55%
Max Increase   -6.51% -12.09% -6.02% -3.72% -5.01% -6.30% -5.92% -6.13% -5.66% -2.96% -1.70%
Avg Days to Max Increase   7 12 10 8 5 12 6 9 6 6 1
2017 Contract Condition       Yes Yes              
Action       Yes Yes              
High 2092.20 2149.90 2170.80 2167.20 2151.30 2202.10 2264.60 2291.00 2366.40 2396.60 2394.70 2417.50
Low 1962.20 2047.70 2120.50 2101.50 2097.80 2067.70 2176.10 2244.80 2262.20 2318.00 2322.90 2344.50
Close/Last 2069.00 2147.40 2150.10 2149.00 2109.50 2188.40 2230.50 2269.30 2358.60 2359.20 2380.50 2411.10

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